IWM Options History — October 2021

In October 2021, IWM traded between $219.42 and $229.54. ATM implied volatility averaged 20.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.8% (HV 20d: 17.3%). Max pain ranged from $222.00 to $225.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2021-10-27: Highest Volume — 909,785 contracts
2021-10-05: Largest IV drop — 9.8% change
2021-10-04: Highest IV Rank — 38.0%
2021-10-04: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$224.53	$219.42	$229.54	$222.53	$228.31
Max Pain	$224.71	$222.00	$225.00	$222.00	$225.00
ATM IV	20.1%	17.4%	26.2%	23.9%	18.2%
Expected Move	5.8%	5.0%	7.4%	6.9%	5.3%
HV 20d	17.3%	11.9%	20.5%	19.8%	13.6%
HV 60d	18.7%	17.2%	21.0%	21.0%	17.5%
IV Rank	11.3%	0.0%	38.0%	28.0%	3.7%
IV Percentile	13.6%	0.0%	54.0%	37.3%	3.2%
Term Structure	0.0%	-0.4%	0.4%	0.2%	0.4%
VWIV	21.7%	18.0%	28.1%	27.2%	21.4%
Skew 25d	5.6%	4.2%	7.9%	7.6%	4.9%
Skew 10d	10.8%	8.0%	15.1%	14.3%	10.0%
Call IV 25d	17.7%	15.6%	22.3%	20.4%	16.2%
Put IV 25d	23.3%	20.1%	30.3%	28.0%	21.1%
Bid-Ask Spread %	1.84	1.40	2.19	1.93	1.87
Gamma HHI	0.04	0.03	0.05	0.04	0.03
Net GEX	-410.8M	-1.38B	533.1M	-1.19B	125.0M
Net DEX	532.6M	-6.56B	8.79B	4.10B	-4.22B
Net VEX	-163.2M	-175.0M	-155.3M	-175.0M	-165.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.91	2.81	2.81	1.35
Total Volume	550,880.286	248,484	909,785	858,092	576,568
Total OI	6,356,137.714	5,604,748	6,701,226	6,462,620	6,701,226

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-10-01	$222.53	$222.00	23.9%	6.9%	19.8%	28.0%	27.2%	7.6%	0.2%	-1.19B	4.10B	-175.0M	2.81	1.93	225,277	632,815	2,023,879	4,438,741
2021-10-04	$220.47	$225.00	26.2%	7.4%	19.9%	38.0%	28.1%	7.9%	-0.2%	-922.0M	6.78B	-173.4M	1.64	2.17	125,115	205,661	1,917,991	4,278,130
2021-10-05	$221.39	$225.00	23.6%	6.8%	20.0%	26.5%	25.4%	7.1%	0.4%	-1.07B	5.79B	-171.6M	1.36	1.97	130,711	177,782	1,985,329	4,410,369
2021-10-06	$219.42	$225.00	24.3%	6.9%	19.7%	29.3%	26.4%	7.0%	-0.3%	-1.38B	8.79B	-169.3M	1.55	1.96	250,373	387,706	2,029,148	4,411,213
2021-10-07	$222.92	$225.00	21.9%	6.4%	20.5%	19.0%	24.0%	6.6%	-0.2%	-720.1M	2.78B	-166.9M	1.37	1.71	219,665	301,959	2,023,134	4,427,204
2021-10-08	$221.65	$225.00	20.9%	6.2%	19.9%	14.5%	21.4%	6.2%	0.3%	-1.00B	4.53B	-164.0M	1.17	1.57	196,011	228,733	2,057,680	4,511,056
2021-10-11	$220.96	$225.00	21.3%	6.2%	19.8%	16.2%	22.6%	6.4%	0.2%	-1.08B	5.72B	-161.1M	1.18	1.63	113,893	134,591	1,975,890	4,357,020
2021-10-12	$221.25	$225.00	21.8%	6.3%	19.2%	18.6%	21.5%	6.2%	0.2%	-1.04B	5.13B	-160.7M	2.10	1.89	109,009	229,079	2,008,515	4,426,742
2021-10-13	$222.14	$225.00	21.0%	6.1%	18.7%	14.8%	21.4%	6.1%	-0.4%	-856.9M	3.42B	-157.1M	1.29	1.70	159,601	205,298	2,040,118	4,462,050
2021-10-14	$225.32	$224.00	19.1%	5.6%	19.4%	6.2%	21.5%	5.5%	-0.3%	-58.5M	-2.15B	-157.1M	1.80	1.91	203,627	365,772	2,056,169	4,521,191
2021-10-15	$226.00	$223.00	18.3%	5.4%	19.4%	2.5%	22.1%	5.2%	0.4%	400.6M	-4.03B	-156.7M	1.37	2.19	323,805	443,173	2,100,707	4,582,387
2021-10-18	$225.15	$225.00	18.4%	5.4%	16.8%	3.2%	21.2%	5.2%	0.3%	-151.5M	-957.3M	-155.3M	1.30	1.40	185,183	240,571	1,805,042	3,799,706
2021-10-19	$225.51	$225.00	18.1%	5.2%	16.7%	1.7%	20.4%	4.9%	0.3%	-428.4M	-547.9M	-158.7M	0.94	1.81	244,125	228,372	1,846,321	3,992,249
2021-10-20	$227.16	$225.00	18.0%	5.2%	15.9%	1.2%	19.4%	4.3%	-0.3%	395.2M	-4.21B	-158.3M	0.96	1.91	340,239	326,900	2,009,061	4,149,123
2021-10-21	$227.70	$225.00	17.6%	5.1%	15.1%	0.0%	18.7%	4.3%	-0.4%	209.3M	-4.58B	-160.9M	0.94	1.63	287,919	271,697	2,034,648	4,196,078
2021-10-22	$227.20	$225.00	17.4%	5.0%	15.0%	0.0%	18.4%	4.4%	0.4%	233.7M	-3.46B	-164.8M	0.96	1.82	302,747	289,604	2,104,639	4,251,679
2021-10-25	$229.54	$225.00	17.6%	5.0%	14.7%	1.0%	18.0%	4.2%	-0.1%	533.1M	-6.56B	-162.9M	0.99	1.89	314,122	312,402	2,056,902	4,123,754
2021-10-26	$228.46	$225.00	17.8%	5.1%	11.9%	2.1%	18.6%	4.2%	-0.1%	216.7M	-4.75B	-158.7M	0.91	2.03	360,646	327,795	2,095,245	4,175,028
2021-10-27	$224.48	$225.00	18.9%	5.5%	13.6%	6.6%	19.6%	4.9%	-0.2%	-866.7M	2.61B	-161.4M	1.20	1.82	413,779	496,006	2,147,971	4,287,587
2021-10-28	$227.59	$225.00	18.2%	5.3%	14.2%	3.6%	19.3%	4.7%	-0.4%	2.7M	-2.98B	-167.6M	1.77	1.85	245,371	434,784	2,210,249	4,447,721
2021-10-29	$228.31	$225.00	18.2%	5.3%	13.6%	3.7%	21.4%	4.9%	0.4%	125.0M	-4.22B	-165.3M	1.35	1.87	245,319	331,249	2,231,548	4,469,678